Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0333
Annualized Std Dev 0.1959
Annualized Sharpe (Rf=0%) -0.1701

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.2464
Quartile 1 -0.0046
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0046
Maximum 0.1932
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0123
Skewness -0.7138
Kurtosis 54.7982

Downside Risk

Close
Semi Deviation 0.0089
Gain Deviation 0.0100
Loss Deviation 0.0108
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0090
Downside Deviation (0%) 0.0090
Maximum Drawdown 0.7239
Historical VaR (95%) -0.0147
Historical ES (95%) -0.0284
Modified VaR (95%) -0.0091
Modified ES (95%) -0.0091
From Trough To Depth Length To Trough Recovery
1999-03-15 2008-11-20 NA -0.7239 5542 2440 NA
1999-01-08 1999-02-09 1999-03-12 -0.0465 44 22 22

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.6 0.6 -0.6 -0.6 -0.6 -0.6 0.6 -0.7 0.7 0 -0.7 0 -1.3
2000 -1.4 -1.5 1.5 0.7 0.7 1.4 -1.6 0.7 0.7 2.3 1.6 3.8 9.1
2001 0 -0.4 0.4 0.7 0.4 0.1 1.2 -0.4 -0.7 0.3 -0.5 1 2.1
2002 1.3 -0.1 -0.4 0.1 0.6 2.1 -0.2 1.3 1.8 0.3 0.2 -1.3 5.9
2003 0 0.6 0.7 0.1 0 -0.1 -1.9 0.7 -0.3 1 -0.1 0.4 1.1
2004 0.8 -1 0.3 1.1 0.2 0.8 0.4 0 0.1 -0.1 0.2 0.6 3.4
2005 -0.2 0.2 0.8 -0.2 0.3 -0.3 -0.3 0 -0.6 -0.2 -0.2 0.3 -0.3
2006 0 -0.2 0.5 -0.2 0.2 0.8 0.5 -0.2 0 0.2 -0.3 0 1.3
2007 0.4 -0.9 -0.1 -0.1 0.3 0.1 -1.6 2.1 0.2 -0.8 2.8 2.2 4.5
2008 0.2 -2.5 1.4 0.3 -0.3 -1.1 1.9 -1.1 1.8 1.5 -6.9 6.4 1.1
2009 -0.9 1.3 0.2 0.9 0.6 0.6 1.2 -1.1 -0.5 -1.6 1.2 -0.2 1.7
2010 0.2 0.8 -1.1 0.5 -0.3 -0.2 0.3 -0.2 0.2 0.8 0.8 0.2 2
2011 1.1 0.2 1.1 0.3 -0.3 -0.2 1.6 0.3 -1.2 0.2 -1.2 0 2
2012 0.9 -0.5 -0.5 1.3 -0.8 0.3 -0.3 1.4 1.2 2.5 0.6 1.4 7.8
2013 0.6 0.5 -0.3 -0.2 -1.1 0.3 -0.5 0.9 -0.3 0.2 -0.2 -0.7 -0.8
2014 -0.2 0.5 -0.5 0.2 0 0 -1 0.8 0.3 0.4 0 0.8 1.3
2015 -0.2 0.2 0.4 0.2 0 0.4 0.4 0.4 -0.6 1 0.5 0.9 3.6
2016 -0.4 2.7 0 0.4 -0.2 0.2 -0.8 0.8 0.4 -0.6 0.2 0 2.6
2017 0.2 1.2 -0.4 -0.2 0.4 0.4 0.2 0.6 0.2 0.2 0.6 0.8 4.2
2018 0.2 -0.2 0 0.2 0.6 0.2 -0.4 -0.4 0.8 1.1 -0.7 -0.5 1
2019 -0.8 -0.6 0.4 0.6 -0.6 -0.2 -0.4 -0.6 -0.6 0.8 0.4 0.6 -1
2020 -0.6 -3.6 -6.4 -2.5 0.6 0.9 0.4 1 0.8 -0.4 -0.4 -0.6 -10.5
2021 0.4 1.6 0 NA NA NA NA NA NA NA NA NA 2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  10.6 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  10.8 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  10.8 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  10.8 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  10.7 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  10.6 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart